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A margin requirement based return calculation for portfolios of short option positions
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What this work says
Outgoing claims: the papers this work cites, builds on, or argues with.
inferredcites →https://doi.org/10.1016/0304-405x(79)90015-1openalex-snapshot
Option pricing: A simplified approach
inferredcites →https://doi.org/10.1016/0304-405x(93)90023-5openalex-snapshot
Common risk factors in the returns on stocks and bonds
inferredcites →https://doi.org/10.1016/b978-0-12-780850-5.50018-6openalex-snapshot
THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation,…
inferredcites →https://doi.org/10.1016/j.finmar.2009.01.002openalex-snapshot
Option strategies: Good deals and margin calls
inferredcites →https://doi.org/10.1016/j.jfineco.2009.01.001openalex-snapshot
Cross-section of option returns and volatility☆
inferredcites →https://doi.org/10.1017/s0022109013000410openalex-snapshot
Does Risk-Neutral Skewness Predict the Cross-Section of Equity Option Portfolio Returns?
inferredcites →https://doi.org/10.1086/260062openalex-snapshot
The Pricing of Options and Corporate Liabilities
inferredcites →https://doi.org/10.1093/rfs/hhp032openalex-snapshot
Understanding Index Option Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.1964.tb02865.xopenalex-snapshot
CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*
inferredcites →https://doi.org/10.1111/j.1540-6261.1997.tb03808.xopenalex-snapshot
On Persistence in Mutual Fund Performance
inferredcites →https://doi.org/10.1142/s2010139214500153openalex-snapshot
Why Are Put Options So Expensive?
inferredcites →https://doi.org/10.2139/ssrn.1538486openalex-snapshot
Option Returns and Individual Stock Volatility
inferredcites →https://doi.org/10.2139/ssrn.1572827openalex-snapshot
Does Risk-Neutral Skewness Predict the Cross-Section of Equity Option Portfolio Returns?
inferredcites →https://doi.org/10.2307/1913610openalex-snapshot
A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
inferredcites →https://doi.org/10.2307/1913811openalex-snapshot
An Intertemporal Capital Asset Pricing Model
inferredcites →https://doi.org/10.2307/1924119openalex-snapshot
The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets
inferredcites →https://doi.org/10.3386/t0055openalex-snapshot
A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix
What points at this work
Incoming claims: where this work appears in other papers’ reference lists and arguments.
inferred← citeshttps://doi.org/10.2139/ssrn.2942126openalex-extracted
Volatility and the Cross-Section of Returns on FX Options
inferred← citeshttps://doi.org/10.2139/ssrn.3391998openalex-extracted
On the Nature of Jump Risk Premia
inferred← citeshttps://doi.org/10.1002/fut.21729openalex-snapshot
The Profitability of Volatility Spread Trading on ASX Equity Options
inferred← citeshttps://doi.org/10.1002/fut.22450openalex-snapshot
Harvesting the volatility smile in a large emerging market: A Dynamic Nelson–Siegel approach
inferred← citeshttps://doi.org/10.1016/j.jfineco.2021.04.030openalex-snapshot
Volatility and the cross-section of returns on FX options
inferred← citeshttps://doi.org/10.21314/jor.2014.279openalex-snapshot
Modeling a Risk-Based Criterion for a Portfolio with Options
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